If by "they" you mean a person who buys or sells a futures contract, it is because they have expiration dates, unlike holding stock certificates or an ETF, etc. You have to get out of the position before the LTD (Last Trade Date), or you have to settle that contract under it's settlement terms. (Easiest way to think of this is to consider selling a single CL contract, and then holding it through expiration. You are now expected to deliver 1,000 barrels of WTI crude oil to Cushing, Oklahoma to physically sell the oil to the person who holds the other end of your contract (the buyer of what you are selling.) There are a ton of instructional videos and descriptions on what futures are. Like this one...